| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8514 |
| DP8514 Asset Pricing under Rational Learning about Rare Disasters | |
| Volker Wieland; Christos Koulovatianos | |
| 发表日期 | 2011-08-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors' information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the likelihood of rare disasters drop to a much more pessimistic level once a disaster has occurred. Such a shift in beliefs can trigger massive declines in price-dividend ratios. Pessimistic beliefs persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations benchmark. Due to the low frequency of disasters, even an infinitely-lived investor will remain uncertain about the exact probability. Our analysis is conducted in continuous time and offers closed-form solutions for asset prices. We distinguish between rational and adaptive Bayesian learning. Rational learners account for the possibility of future changes in beliefs in determining their demand for risky assets, while adaptive learners take beliefs as given. Thus, risky assets tend to be lower-valued and price-dividend ratios vary less under adaptive versus rational learning for identical priors. |
| 主题 | International Macroeconomics |
| 关键词 | Adaptive learning Asset pricing Bayesian learning beliefs Controlled diffusions and jump processes Learning about jumps Rational learning |
| URL | https://cepr.org/publications/dp8514 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537348 |
| 推荐引用方式 GB/T 7714 | Volker Wieland,Christos Koulovatianos. DP8514 Asset Pricing under Rational Learning about Rare Disasters. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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